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Re: st: Test for similarity among subsamples


From   "Austin Nichols" <austinnichols@gmail.com>
To   statalist@hsphsun2.harvard.edu
Subject   Re: st: Test for similarity among subsamples
Date   Tue, 1 Apr 2008 09:37:00 -0400

P.M.J. Stromberg <pmjs2@cam.ac.uk>:
In a linear regression, you can run the fully interacted model or use
-suest-, but see e.g.
http://www.stata.com/statalist/archive/2008-02/msg00898.html
http://www.stata.com/statalist/archive/2008-02/msg00911.html
on the -probit- equivalent.  In short, logit and probit do not
identify both the coefs *and* the error variance, so differences can
be observed across subsamples because the coefs differ *or* because
the error variance differs (or both).

On 01 Apr 2008 10:10:51 +0100, P.M.J. Stromberg <pmjs2@cam.ac.uk> wrote:
> Hi,
>
>  I want to run probit estimations on three sub samples (representing one
>  ethnic group each), with the same variables (Y and X). But first I need to
>  know if this is justified: is there a way to test if the difference among
>  the sub samples is statistically significant (such as log likelihood ratio
>  test)?
>
>  An alternative is to use the pooled sample, and include dummies: but I
>  suspect that the different ethnic groups affect (1) basically all
>  variables, and (2) the slope, not only the intercept.
>
>  Many thanks in advance,
>  Per
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